ETJ vs VXZ: Correlation
Eaton Vance Risk-Managed Diversified Equity Income Fund (ETJ) and iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) show a negative relationship: their 3-year correlation of weekly returns is -0.57.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are ETJ and VXZ?
Over the past 3 years, ETJ and VXZ moved with a correlation of -0.57, which is negative, meaning they tend to move in opposite directions. Recent behaviour matches the longer record: -0.64 over 1 year against -0.57 over 3. Over 5 years the correlation is -0.54, and the annualized covariance of weekly returns is -189.8 %².
Among the 15 assets we track against ETJ, VXZ sits near the bottom by co-movement, at rank #13. Their recent paths diverged sharply: over the last 12 months ETJ outperformed by 19.5 percentage points (+3.4% for ETJ against -16.1% for VXZ). Note the risk asymmetry: VXZ runs 2.0 times the annualized volatility of the other leg, so equal-weighting the two is not an equal-risk position.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
ETJ vs VXZ: side by side
| ETJ (Eaton Vance Risk-Managed Diversified Equity Income Fund) | VXZ (iPath Series B S&P 500 VIX Mid-Term Futures ETN) | |
|---|---|---|
| 1-year return | +3.4% | -16.1% |
| 5-year return | +19.5% | -53.1% |
| Volatility (ann.) | 13.0% | 25.6% |
| Beta vs S&P 500 | 0.71 | -1.31 |
| Max drawdown (3Y) | -15.4% | -36.4% |
| Market cap | $0.6B | – |
| P/E (trailing) | 11.4 | – |
| Dividend yield | 0.00% | – |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | ETJ | VXZ |
|---|---|---|
| 2022 | -22.7% | +0.5% |
| 2023 | +14.2% | -44.0% |
| 2024 | +29.5% | -12.7% |
| 2025 | +3.5% | +5.7% |
| 2026 | +2.1% | -10.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are ETJ and VXZ good diversifiers for each other?
Yes: at -0.57, the two have gone their own ways historically, which is what genuine diversification looks like.
FAQ
What is the correlation between ETJ and VXZ?
Using weekly returns as of 2026-08-27: -0.57 over 3 years, with -0.64 over the last year and -0.54 over 5 years.
Is VXZ a good diversifier for ETJ?
Yes: at -0.57, the two have gone their own ways historically, which is what genuine diversification looks like.
What does a correlation of -0.57 mean?
A reading of -0.57 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/etj-vs-vxz.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/etj-vs-vxz/)
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Related comparisons
Hubs: ETJ correlations · VXZ correlations
